Inequality Constrained State-Space Models
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Cites work
- A simple and efficient simulation smoother for state space time series analysis
- An equilibrium characterization of the term structure
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Constrained Kalman filtering via density function truncation for turbofan engine health estimation
- Dynamic probabilities of restrictions in state space models: an application to the Phillips curve
- Filtering and smoothing of state vector for diffuse state-space models
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Marginalized particle filters for mixed linear/nonlinear state-space models
- Mixture Kalman Filters
- On Gibbs sampling for state space models
- Pricing interest-rate-derivative securities
- Restricted Kalman filtering. Theory, methods, and application
- Sequential Monte Carlo Methods for Dynamic Systems
- The affine arbitrage-free class of Nelson-Siegel term structure models
- The diffuse Kalman filter
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Time series analysis by state space methods.
- Time varying VARs with inequality restrictions
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